Assist.-Prof. Dr. habil. Sascha Desmettre

Das Foto zeigt unseren Mitarbeiter Sascha Desmettre. Er trägt ein weißes Hemd un ein schwarzes Sakko.
Assistant Professor

Curriculum Vitae

Education

Diploma degree in Mathematics, TU Kaiserslautern

Doctorate programme in Mathematics, Fraunhofer Institute for Techno- and Business Mathematics + TU Kaiserslautern

Habilitation in Mathematics, TU Kaiserslautern

Work Experience

Scientific assistant with pre-degree , Fraunhofer Institute for Techno- and Business Mathematics, Kaiserslautern

Scientific Assistant with diploma, Fraunhofer Institute for Techno- and Business Mathematics, Kaiserslautern

Scientific Assistant, Fraunhofer Institute for Techno- and Business Mathematics, Kaiserslautern

W3-Deputy Professor for Stochastics, Karlsruher Institute for Technology

TU Kaiserslautern:
since 02/18 : Academical temporary council
07/16-01/18: Scientific Assistant at "Landesstelle"
07/14-06/16: Post-Doc at Graduate College 1932
01/14-06/14: Post-Doc in Project ”Robust Risk Estimation”

PostDoc, Karl-Franzens-Universität Graz

Tenure-Track Professor of Financial Mathematics and Mathematical Modeling in Economics, JKU Linz

Projects

Project Robust Risk Estimation II: Multivariate and Dynamic Extreme Events with Possibly Misspecified Models,
Extension of the Project "Robust Risk Estimation" of 07/11-03/15

Graduate College 1932 (1. Phase), Stochastic Models for Innovations in the Engineering Sciences,
Own role: Asscociated Investigator (07/2014-09/2018) + jointly responsible project part leader in Project P2: Stochastic models for system-on-chip design and Monte Carlo hardware acceleration (07/2014-06/2016)

Scientific Advisor, Fraunhofer Institute for Techno- and Economic Mathematics, Department of Financial Mathematics, Kaiserslautern.

Graduate College 1932 (2. Phase), Stochastic Models for Innovations in the Engineering Sciences,
Own role: Asscociated Investigator

Collaborative Research Centre "Quasi Monte Carlo Methods" of the FWF. Own role: Associated Investigator.

Awards

Prize of the German Physics Association for excellent performance in the subject "Physics in the A levels"

Prize of the School Association for excellent performances at the A levels

Doctoral grant of the Fraunhofer Association

e-fellows.net Scholarship

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In Progress:

S. Desmettre, M. Steffensen, Optimal Investment with Uncertain Risk Aversion, Link.

S. Desmettre, M. Wahl, R. Zagst. Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities, Link.

S. Desmettre, J. Wenzel: High Volatility Limits of Asset and Option Prices with Applications to Monte Carlo Valuation, Link